EXACT SIMULATION OF THE 3/2 MODEL

被引：18

作者：

Baldeaux, Jan ^{[1
]}

机构：

[1] Univ Technol Sydney, Finance Discipline Grp, POB 123, Sydney, NSW 2007, Australia

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2012年 / 15卷 / 05期

关键词：

Stochastic volatility model; 3/2; model; exact simulation; variance reduction techniques;

D O I：

10.1142/S021902491250032X

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper discusses the exact simulation of the stock price process underlying the 3/2 model. Using a result derived by Craddock and Lennox using Lie Symmetry Analysis, we adapt the Broadie-Kaya algorithm for the simulation of affine processes to the 3/2 model. We also discuss variance reduction techniques and find that conditional Monte Carlo techniques combined with quasi-Monte Carlo point sets result in significant variance reductions.

引用

页数：13

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